» » Credit Risk Modeling: Theory and Applications (Princeton Series in Finance)

Fb2 Credit Risk Modeling: Theory and Applications (Princeton Series in Finance) ePub

by David Lando

Category: Economics
Subcategory: Business and Work
Author: David Lando
ISBN: 0691089299
ISBN13: 978-0691089294
Language: English
Publisher: Princeton University Press; First Edition edition (June 21, 2004)
Pages: 328
Fb2 eBook: 1256 kb
ePub eBook: 1196 kb
Digital formats: lrf azw mobi lrf

At the same time, never does he neglect the statistical estimation of the models he presents. -Robert Jarrow, Cornell University.

Darrell Dufe Stephen Schaefer Stanford University London Business School. Theory and Applications.

He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut.

This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them.

This book provides an introduction and overview for readers who seek an uptodate reference to the central problems of the field and to the tools currently used to analyze them.

Book by American Mathematical Society Short Course, Game Theory and its Applications (1979 : Biloxi. and process plant applications presented at Materials Congress 98 Frontiers in Material Science and Technology. Materials for High Temperature Power Generation and Process Plant Applications. 59 MB·42,947 Downloads·New! and process plant applications presented at Materials Congress 98 Frontiers in Material Science and Technology. Frontiers in Massive Data Analysis. 59 MB·42,815 Downloads·New! -from computer science, statistics, machine learning, and application disciplines-that must be brought. The Mathematical Sciences in 2025.

This is one of the worst books I have read in applied probability. I wasted considerable amount purchasing the book and cannot recommend it based on its quality or level of content. Key results are glossed over, sometimes stated incorrectly, and almost always incomplete. I will give two examples: (1) In page 33, line 2 the author quotes a formula and places a footnote saying that it does not agree with the result of the original paper. The result in Lando misses a term exp(-gamma T) and is therefore incorrect, but Lando can't be bothered about who is right, he or the original authors. To call it a book for a course is a cruel joke.

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk.

David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Comments to eBook Credit Risk Modeling: Theory and Applications (Princeton Series in Finance)
Ahieones
This is one of the worst books I have read in applied probability. Key results are glossed over, sometimes stated incorrectly, and almost always incomplete. I will give two examples: (1) In page 33, line 2 the author quotes a formula and places a footnote saying that it does not agree with the result of the original paper. The result in Lando misses a term exp(-gamma T) and is therefore incorrect, but Lando can't be bothered about who is right, he or the original authors. (2) In page 114, a formula (5.3) and the one preceding it are quoted as "essential ingredient"s in obtaining many pricing formulae but not proved. I wasted considerable amount purchasing the book and cannot recommend it based on its quality or level of content. To call it a book for a course is a cruel joke.
Zacki
The author briefly touched many models without quite understanding them himself (or checking their validity). Most of the text were collected (and rewritten) from reading the abstract or conclusion of the original papers. There is not enough insight or new info. It is absolutely not a book for someone who wants to learn because it is like a undergraduate's study report. If a book reviews many models, it should provide some insights, pros and cons of them, and at least some framework for other researchers to follow. It loses value if it merely rephrases some obvious and straghtforward assumptions of the original models.
I admire the author and the editor (Duffie) as researchers. However, the author is not ready yet to write a book of this kind and the editor has been a super star in finance, hence should not lower himself to this level for the sake of publication. This book does not provide useful info at all. Not good for a researcher or a practitioner (at all). Why not read the original papers' abstracts? That would be more informative.
Legend 33
Its been a long time since I read a book that was as sloppy and abused mathematical notation as this one.
Some formulae are obviously wrong, and some superscripts become subscripts two pages later. You'll have to spend a lot of time thinking on your own, and then referring back to the original papers.

Just publish a booklet with the bibliography. Spare me the extra pounds. I do not want the extra 300 pages to carry around.
Malojurus
Contrary to other people, I have found the book very interesting and readable...The author is also referring to practical issues such as asset volatility estimation and CDO pricing..I think this book is more comparable to Bielecki-Rutkowsky kind of book, than to Schonbucher. It gives a good foundation of the theory, even if sometime I would have preferred to have more proofs of theorems.

Compact, readable and fairly complete.
Maldarbaq
I took a master level credit risk class with two assigned textbooks: this one and Quantitative Risk Management by McNeil et al. I love the second book more because it explains the fundamentals in a fabulous way; most of our lectures followed materials in McNeil's. As someone explained in another entry, Lando's book is like a survey book, which is very compact for a beginner.
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